Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 2 | 1 | 1 |
| Score | -7.65 | -8.77 | -11.84 |
| Market Cap (Millions USD) | 874.67 | 859.18 | 1031.77 |
| Predicted Beta | 0.14 | 0.13 | 0.16 |
| Idiosyncratic Volatility | 1.95 | 1.61 | 2.77 |
Annualized return and volatility
| EWP | |
|---|---|
| Annualized Return | 0.0370 |
| Annualized Std Dev | 0.2726 |
| Annualized Sharpe (Rf=0%) | 0.1356 |
Row
Daily Return Statistics
| EWP | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1629 |
| Quartile 1 | -0.0076 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0089 |
| Maximum | 0.1455 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0172 |
| Skewness | -0.1191 |
| Kurtosis | 7.3700 |
Downside Risk
| EWP | |
|---|---|
| Semi Deviation | 0.0124 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0131 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.6119 |
| Historical VaR (95%) | -0.0273 |
| Historical ES (95%) | -0.0411 |
| Modified VaR (95%) | -0.0260 |
| Modified ES (95%) | -0.0425 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | NA | -0.6119 | 3084 | 320 | NA |
| 2000-03-17 | 2002-09-24 | 2003-12-18 | -0.4524 | 962 | 643 | 319 |
| 2004-02-18 | 2004-05-17 | 2004-10-21 | -0.1347 | 174 | 64 | 110 |
| 2006-05-11 | 2006-06-13 | 2006-08-15 | -0.1289 | 68 | 23 | 45 |
| 2000-01-04 | 2000-01-31 | 2000-03-01 | -0.0998 | 40 | 19 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWP | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.7 | 1.5 | 0.0 | 0.9 | 1.2 | 0.0 | -1.0 | 3.6 | 0.0 | 0.0 | 2.1 | 0.0 | 9.4 |
| 2001 | 2.6 | 0.6 | 0.0 | 1.6 | -1.3 | 0.0 | 1.9 | 0.0 | -2.5 | 0.8 | 0.0 | 0.0 | 3.6 |
| 2002 | 1.5 | 1.2 | 0.7 | 1.5 | 0.0 | -0.8 | -3.5 | 0.0 | -1.1 | 2.6 | 0.0 | 0.0 | 1.9 |
| 2003 | 0.0 | 0.0 | 2.3 | 0.1 | 0.0 | 0.6 | -0.2 | 0.0 | 2.9 | 0.0 | 1.8 | 0.0 | 7.7 |
| 2004 | 0.0 | 0.8 | 0.9 | 0.0 | -1.4 | -0.6 | 0.0 | 0.3 | 1.9 | 0.4 | 0.6 | 0.0 | 2.9 |
| 2005 | 0.7 | 0.8 | -0.6 | 0.0 | -0.1 | -0.5 | 0.5 | 2.1 | 0.0 | -0.8 | 1.2 | 0.0 | 3.1 |
| 2006 | 0.3 | 1.5 | 0.0 | -0.7 | 0.6 | 0.0 | 0.0 | 0.7 | 0.0 | -0.4 | -1.0 | 0.0 | 0.9 |
| 2007 | -0.2 | -1.5 | 0.0 | -0.2 | 0.9 | 0.0 | 1.4 | 0.0 | 0.8 | -1.8 | 0.0 | 0.0 | -0.6 |
| 2008 | 1.6 | 0.0 | 2.7 | 1.4 | 0.0 | -0.7 | -2.3 | 0.0 | 1.1 | 0.0 | -7.1 | 0.0 | -3.5 |
| 2009 | 0.0 | 0.0 | 2.4 | 0.7 | 1.2 | 1.0 | 0.0 | -3.2 | -3.1 | 0.0 | 2.0 | 0.0 | 0.7 |
| 2010 | 2.0 | 0.1 | 2.4 | 0.0 | -3.3 | 4.7 | 0.0 | 4.3 | 0.5 | -2.8 | 6.0 | 0.0 | 14.4 |
| 2011 | 2.4 | -1.9 | 1.1 | 0.0 | -3.0 | 1.7 | -2.9 | -2.3 | 0.0 | -5.2 | -0.9 | 0.0 | -10.6 |
| 2012 | 2.1 | 1.0 | 0.0 | 0.5 | -0.6 | 0.0 | -0.1 | 0.0 | 0.2 | 1.1 | 0.0 | 0.0 | 4.2 |
| 2013 | -0.2 | -0.1 | -1.3 | -0.8 | 0.0 | 2.0 | 1.2 | 0.0 | 1.6 | -0.7 | 0.0 | 0.0 | 1.7 |
| 2014 | 0.0 | 0.0 | 1.6 | 0.2 | 0.0 | 0.6 | -1.1 | 0.0 | -0.7 | 0.0 | -0.6 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | 1.3 | 1.0 | -0.3 | -0.1 | 0.0 | -2.9 | 0.8 | 0.0 | 1.3 | 0.0 | 1.1 |
| 2016 | -0.1 | 3.0 | -0.6 | 0.0 | -0.6 | 0.0 | -1.6 | 1.2 | 0.0 | -0.5 | 0.3 | 0.0 | 1.0 |
| 2017 | -0.5 | 2.0 | 0.0 | 0.4 | 0.2 | 0.0 | 0.6 | 0.1 | 0.0 | -0.1 | -0.8 | 0.0 | 2.0 |
| 2018 | 0.5 | -1.0 | 0.0 | -0.7 | 1.2 | 0.0 | -0.9 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 0.9 |
| 2019 | -1.0 | 0.1 | 1.6 | -0.8 | 0.0 | 0.4 | -0.5 | 0.0 | -0.7 | 0.7 | 0.0 | -0.2 | -0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
